|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
Par |
|
|
Asset-Backed Securities |
|
(000) |
Value |
|
First Franklin Mortgage Loan Asset Backed |
|
|
Certificates, Series 2005-FF2, Class M2, 0.69%, |
|
3/25/35 (a) |
|
$ 3,220 |
$ 1,159,200 |
GSAA Home Equity Trust, Series 2005-1, Class |
|
AF2, 4.32%, 11/25/34 (a) |
|
1,146 |
1,081,451 |
Securitized Asset Backed Receivables LLC Trust, |
|
Series 2005-0P1, Class M2, 0.70%, 1/25/35 (a) |
2,000 |
1,197,545 |
Securitized Asset Backed Receivables LLC Trust, |
|
Series 2005-OP2, Class M1, 0.68%, 10/25/35 (a) |
1,025 |
289,192 |
|
Soundview Home Equity Loan Trust, |
|
|
|
|
Series 2007-OPT5, Class 2A2, 1.20%, 10/25/37 (a) |
2,500 |
894,046 |
|
Total Asset-Backed Securities - 2.3% |
|
4,621,434 |
Industry |
Corporate Bonds |
|
|
|
Diversified Consumer |
Leland Stanford Junior University, |
|
|
|
Services - 0.2% |
3.63%, 5/01/14 |
|
400 |
414,064 |
|
Total Corporate Bonds - 0.2% |
|
|
414,064 |
|
Foreign Agency Obligations |
|
|
|
|
Province of Ontario Canada, 4.10%, 6/16/14 (b) |
1,745 |
1,844,927 |
|
Total Foreign Agency Obligations - 0.9% |
|
1,844,927 |
|
Taxable Municipal Bonds |
|
|
|
State - 0.9% |
State of California, GO, Taxable, Various |
|
|
|
Purpose 3, 5.65%, 4/01/39 |
|
1,680 |
1,785,739 |
|
Total Taxable Municipal Bonds - 0.9% |
|
1,785,739 |
|
Non-U.S. Government Sponsored Agency |
|
|
|
Mortgage-Backed Securities |
|
|
|
Collateralized Mortgage |
Bank of America Mortgage Securities Inc., |
|
|
Obligations - 4.4% |
Series 2003-J, Class 2A1, 5.28%, 11/25/33 (a) |
406 |
374,248 |
|
Bear Stearns Alt-A Trust, Series 2004-13, Class A1, |
|
|
|
0.99%, 11/25/34 (a) |
|
543 |
372,603 |
|
CS First Boston Mortgage Securities Corp., |
|
|
|
Series 2005-11, Class 6A5, 6.00%, 12/25/35 |
1,124 |
881,084 |
|
Countrywide Alternative Loan Trust, |
|
|
|
|
Series 2006-41CB, Class 2A17, 6.00%, 1/25/37 |
1,748 |
1,311,199 |
|
Homebanc Mortgage Trust, Series 2005-4, |
|
|
|
Class A1, 0.52%, 10/25/35 (a) |
|
1,983 |
1,200,878 |
|
Thornburg Mortgage Securities Trust, |
|
|
|
|
Series 2006-6, Class A1, 0.36%, 11/25/46 (a) |
1,946 |
1,801,267 |
|
Thornburg Mortgage Securities Trust, |
|
|
|
|
Series 2007-2, Class A2A, 0.38%, 6/25/37 (a) |
1,454 |
1,325,382 |
|
WaMu Mortgage Pass-Through Certificates, |
|
|
|
Series 2005-AR7, Class A1, 4.91%, 8/25/35 (a) |
1,541 |
1,375,096 |
|
|
|
|
8,641,757 |
1 |
|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
Non-U.S. Government Sponsored Agency |
Par |
|
|
Mortgage-Backed Securities |
|
(000) |
Value |
Commercial Mortgage-Backed |
Banc of America Commercial Mortgage, Inc., Series |
|
|
Securities - 10.0% |
2006-6, Class A2, 5.31%, 10/10/45 |
|
$ 3,575 |
$ 3,573,636 |
Bear Stearns Commercial Mortgage Securities, |
|
Series 2001-T0P2, Class A2, 6.48%, 2/15/35 |
1,545 |
1,602,327 |
Commercial Mortgage Pass-Through Certificates, |
|
Series 2007-C9, Class A2, 5.81%, 12/10/49 (a) |
3,250 |
3,286,869 |
|
Credit Suisse Mortgage Capital Certificates, |
|
|
|
Series 2007-C5, Class A2, 5.59%, 9/15/40 |
3,400 |
3,362,829 |
|
LB-UBS Commercial Mortgage Trust, |
|
|
|
|
Series 2007-C1, Class A2, 5.32%, 2/15/40 |
2,000 |
1,999,723 |
|
LB-UBS Commercial Mortgage Trust, |
|
|
|
|
Series 2007-C7, Class A2, 5.59%, 9/15/45 |
3,000 |
3,014,979 |
|
Wachovia Bank Commercial Mortgage Trust, |
|
|
|
Series 2007-C32, Class A2, 5.74%, 6/15/49 (a) |
3,000 |
2,941,388 |
|
|
|
|
19,781,751 |
Interest Only Collateralized Mortgage CitiMortgage Alternative Loan Trust, |
|
|
|
Obligations - 0.0% |
Series 2007-A5, Class 1A7, 6.00%, 5/25/37 |
748 |
86,822 |
Total Non-U.S. Government Sponsored Agency |
|
Mortgage-Backed Securities - 14.4% |
|
|
28,510,330 |
|
Preferred Securities |
|
|
|
Industry |
Capital Trusts |
|
|
|
Diversified Financial |
JPMorgan Chase Capital XXII, 6.45%, 1/15/87 |
2,000 |
1,799,996 |
Services - 0.9% |
|
|
|
|
Electric Utilities - 0.8% |
PPL Capital Funding, 6.70%, 3/30/67 (a) |
2,000 |
1,670,000 |
Insurance - 1.0% |
The Allstate Corp., 6.50%, 5/15/57 (a) |
2,000 |
1,660,000 |
|
ZFS Finance (USA) Trust V, 6.50%, 5/09/67 (a)(c) |
504 |
408,240 |
|
|
|
|
2,068,240 |
|
Total Capital Trusts - 2.7% |
|
|
5,538,236 |
|
Trust Preferreds |
|
|
|
Capital Markets - 0.9% |
Morgan Stanley Capital Trust VIII, 6.45%, |
|
|
|
4/15/67 |
|
2,000 |
1,745,699 |
Media - 1.0% |
Comcast Corp., 6.63%, 5/15/56 |
|
2,000 |
1,903,077 |
|
Total Trust Preferreds - 1.9% |
|
|
3,648,776 |
|
Total Preferred Securities - 4.6% |
|
|
9,187,012 |
U.S. Government Sponsored Agency Securities |
|
Agency Obligations - 4.5% |
Fannie Mae, 2.00%, 2/11/11 |
|
1,370 |
1,376,999 |
|
Fannie Mae, 5.25%, 8/01/12 |
|
2,460 |
2,629,076 |
|
Federal Farm Credit Bank, 4.55%, 6/08/20 (d) |
3,500 |
3,610,303 |
|
Federal Home Loan Banks, 5.25%, 9/12/14 |
640 |
719,829 |
|
Federal Home Loan Banks, 5.38%, 6/13/14 (d) |
640 |
717,157 |
|
|
|
|
9,053,364 |
Collateralized Mortgage |
Freddie Mac Mortgage Backed Securities, |
|
|
Obligations - 11.2% |
Series 3149, Class HA, 6.00%, 5/15/27 |
1,072 |
1,091,936 |
|
Ginnie Mae Mortgage Backed Securities, |
|
|
|
Series 2005-87, Class C, 5.33%, 9/16/34 (a) |
10,000 |
10,776,134 |
2 |
|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
Par |
|
|
U.S. Government Sponsored Agency Securities |
(000) |
Value |
|
Ginnie Mae Mortgage Backed Securities, |
|
|
|
Series 2006-3, Class C, 5.24%, 4/16/39 (a) |
$ 10,000 |
$ 10,329,002 |
|
|
|
|
22,197,072 |
Interest Only Collateralized |
Ginnie Mae Mortgage Backed Securities, |
|
|
Mortgage Obligations - 0.2% |
Series 2006-30, Class IO, 0.80%, 5/16/46 (a) |
8,439 |
380,853 |
Mortgaged-Backed |
Fannie Mae Mortgage Backed Securities, |
|
|
Securities - 101.8% |
4.00%, 4/01/24 - 10/20/39 (e) |
|
18,855 |
19,194,945 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
4.50%, 10/15/24 - 5/01/39 (e) |
|
7,917 |
8,114,278 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
4.66%, 7/01/10 |
|
1,827 |
1,843,989 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
4.96%, 2/01/13 |
|
5,258 |
5,535,413 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
5.00%, 10/15/24 - 10/15/39 (b)(e) |
|
48,835 |
50,619,306 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
5.24%, 4/01/12 (b) |
|
7,939 |
8,490,622 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
5.50%, 7/01/17 - 10/15/39 (b)(d)(e) |
|
69,564 |
73,018,894 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
6.00%, 2/01/36 - 10/01/36 |
|
5,240 |
5,545,216 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
6.11%, 2/01/12 |
|
2,580 |
2,784,651 |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
6.60%, 1/01/11 |
|
4,898 |
5,096,127 |
|
Freddie Mac Mortgage Backed Securities, |
|
|
|
4.50%, 5/01/34 |
|
1,040 |
1,058,629 |
|
Freddie Mac Mortgage Backed Securities, |
|
|
|
5.00%, 10/15/39 (e) |
|
14,500 |
14,980,313 |
|
Freddie Mac Mortgage Backed Securities, |
|
|
|
5.50%, 10/15/39 (e) |
|
700 |
732,593 |
|
Ginnie Mae Mortgage Backed Securities, |
|
|
|
4.50%, 10/15/39 |
|
2,600 |
2,638,189 |
|
Ginnie Mae Mortgage Backed Securities, |
|
|
|
5.00%, 11/15/35 - 10/15/39 (e) |
|
137 |
141,999 |
|
Ginnie Mae Mortgage Backed Securities, |
|
|
|
5.50%, 10/15/39 (e) |
|
2,300 |
2,412,843 |
|
|
|
|
202,208,007 |
|
Total U.S. Government Sponsored |
|
|
|
|
Agency Securities - 117.7% |
|
|
233,839,296 |
3 |
|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
|
Par |
|
|
U.S. Treasury Obligations |
|
(000) |
Value |
|
U.S. Treasury Notes, 1.38%, 9/15/12 |
|
$ 7,135 |
$ 7,122,735 |
|
U.S. Treasury Notes, 3.13%, 8/31/13 |
|
110 |
115,285 |
|
U.S. Treasury Notes, 2.38%, 9/30/14 |
|
32,215 |
32,298,115 |
|
U.S. Treasury Notes, 3.50%, 2/15/39 |
|
5,595 |
5,068,723 |
|
Total U.S. Treasury Obligations - 22.5% |
|
44,604,858 |
|
Total Long-Term Investments |
|
|
|
|
(Cost - $321,831,542) - 163.5% |
|
|
324,807,660 |
|
Short-Term Securities |
|
Shares |
|
|
BlackRock Liquidity Funds, TempFund, |
|
|
|
0.20% (f)(g) |
|
30,513,003 |
30,513,003 |
|
Total Short-Term Securities |
|
|
|
|
(Cost - $30,513,003) - 15.4% |
|
|
30,513,003 |
|
Options Purchased |
|
Contracts |
|
Over-the-Counter Call Swaptions |
Receive a fixed rate of 1.97% and pay a floating rate |
|
|
|
based on 3-month LIBOR, expiring 3/20/10, Broker |
|
|
|
JPMorgan Chase Bank NA |
|
16 (h) |
146,542 |
|
Total Options Purchased |
|
|
|
|
(Cost - $60,174) - 0.1% |
|
|
146,542 |
|
Total Investments Before TBA Sale |
|
|
|
|
Commitments and Options Written |
|
|
|
|
(Cost - $352,404,719*) - 179.0% |
|
|
355,467,205 |
|
|
|
Par |
|
|
TBA Sale Commitments (e) |
|
(000) |
|
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
4.00%, 4/01/24 - 10/20/39 |
|
$ (9,500) |
(9,663,286) |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
5.00%, 10/15/24 - 10/15/39 |
|
(21,000) |
(21,689,052) |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
5.50%, 7/01/17 - 10/15/39 |
|
(29,400) |
(30,802,606) |
|
Fannie Mae Mortgage Backed Securities, |
|
|
|
6.00%, 2/01/36 - 10/01/36 |
|
(2,600) |
(2,743,000) |
|
Freddie Mac Mortgage Backed Securities, |
|
|
|
5.00%, 10/15/39 |
|
(14,200) |
(14,670,375) |
|
Total TBA Sale Commitments |
|
|
|
|
(Proceeds Received - $79,226,000) - (40.1)% |
|
(79,568,319) |
|
Options Written |
|
Contracts |
|
Exchange-Traded Call Options |
2-Year U.S. Treasury Bond, expiring 11/21/09 at |
|
|
|
USD 108 |
|
125 |
(158,203) |
Over-the-Counter Call Options |
Fannie Mae Mortgage Backed Securities, expiring |
|
|
|
October 2009 at USD 102.38, Broker Citibank NA |
500,000 |
(437,500) |
4 |
|
|
|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
|
|
Options Written |
|
Contracts |
Value |
Over-the-Counter Call Swaptions |
Pay a fixed rate of 3.5% and receive a floating rate |
|
|
|
based on 3-month LIBOR, expiring 10/13/09, |
|
|
|
|
Broker Royal Bank of Scotland Plc |
|
20 (h) |
$ (196,540) |
|
|
Pay a fixed rate of 3.43% and receive a floating rate |
|
|
|
based on 3-month LIBOR, expiring 12/04/09, |
|
|
|
|
Broker JPMorgan Chase Bank NA |
|
50 (h) |
(1,610,750) |
|
|
Pay a fixed rate of 4.34% and receive a floating rate |
|
|
|
based on 3-month LIBOR, expiring 8/21/10, |
|
|
|
|
Broker Credit Suisse International |
|
8 (h) |
(561,640) |
|
|
|
|
|
|
(2,368,930) |
Over-the-Counter Put Swaptions |
Receive a fixed rate of 3.43% and pay a floating rate |
|
|
|
based on 3-month LIBOR, expiring 12/04/09, |
|
|
|
|
Broker JPMorgan Chase Bank NA |
|
50 (h) |
(113,750) |
|
|
Receive a fixed rate of 4.34% and pay a floating rate |
|
|
|
based on 3-month LIBOR, expiring 8/21/10, |
|
|
|
|
Broker Credit Suisse International |
|
8 (h) |
(221,520) |
|
|
|
|
|
|
(335,270) |
|
|
Total Options Written |
|
|
|
|
|
(Premiums Received - $3,259,231) - (1.7%) |
|
(3,299,903) |
|
|
Total Investments, Net of TBA Sale Commitments |
|
|
|
and Options Written - 137.2% |
|
|
272,598,983 |
|
|
Liabilities in Excess of Other Assets - (37.2)% |
(73,970,195) |
|
|
Net Assets - 100.0% |
|
|
$ 198,628,788 |
* |
The cost and unrealized appreciation (depreciation) of investments as of September 30, 2009, |
|
|
as computed for federal income tax purposes, were as follows: |
|
|
|
|
Aggregate cost |
|
$ 352,463,688 |
|
|
|
|
Gross unrealized appreciation |
$ 10,628,178 |
|
|
|
|
Gross unrealized depreciation |
(7,624,661) |
|
|
|
|
Net unrealized appreciation |
$ 3,003,517 |
|
|
|
(a) |
Variable rate security. Rate shown is as of report date. |
|
|
|
(b) |
All or a portion of security have been pledged as collateral in connection with swaps. |
|
(c) |
Security exempt from registration under Rule 144A of the Securities Act of 1933. |
|
|
These securities may be resold in transactions exempt from registration to qualified |
|
|
institutional investors. |
|
|
|
|
|
(d) |
All or a portion of security have been pledged as collateral in connection with open |
|
|
financial futures contracts. |
|
|
|
|
(e) |
Represents or includes a to-be-announced ("TBA") transaction. Unsettled TBA transactions as of report date |
|
were as follows: |
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
Appreciation |
|
|
Counterparty |
|
Market Value |
(Deprecation) |
|
|
Barclays Capital Plc |
|
$ (10,228,284) |
$ 37,810 |
|
|
Citigroup NA |
|
$ (23,405,667) |
$ (69,417) |
|
|
Credit Suisse International |
$ 23,300,856 |
$ 143,809 |
|
|
Deutsche Bank AG |
|
$ 8,899,998 |
$ 58,826 |
|
5 |
|
|
|
|
|
|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
|
Appreciation |
|
|
|
|
Counterparty |
Market Value |
(Deprecation) |
|
|
|
Goldman Sachs Bank USA |
$ 2,408,398 |
$ 28,742 |
|
|
|
JPMorgan Chase Bank |
$ (4,796,082) |
$ (29,441) |
|
|
|
Morgan Stanley Capital Services, |
$ 103,469 |
$ 359 |
|
|
(f) |
Investments in companies considered to be an affiliate of the Fund, for purposes of Section |
|
|
|
2(a)(3) of the Investment Company Act of 1940, were as follows: |
|
|
|
|
|
|
Affiliate |
|
Net Activity |
|
Income |
|
|
|
BlackRock Liquidity Funds, TempFund |
30,513,003 |
|
$ 91,657 |
|
|
|
BlackRock Liquidity Series, LLC |
|
|
|
|
|
|
|
|
Cash Sweep Series |
$ (43,275,054) |
|
$ 61,139 |
|
|
(g) |
Represents the current yield as of report date. |
|
|
|
|
|
|
(h) |
One contract represents a notional amount of $1 million. |
|
|
|
|
|
For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the |
|
industry sub-classifications used by one or more widely recognized market indexes or ratings group |
|
indexes, and/or as defined by Fund management. This definition may not apply for purposes of this |
|
|
report, which may combine industry sub-classifications for reporting ease. |
|
|
|
|
Financial futures contracts purchased as of September 30, 2009 were as follows: |
|
|
|
|
|
|
Expiration |
|
Face |
Unrealized |
|
Contracts |
Issue |
Exchange |
Date |
|
Value |
Appreciation |
|
183 |
10-Year U.S. |
|
|
|
|
|
|
|
|
|
Treasury Bond |
Chicago |
December 2009 |
$ 21,328,809 |
$ 325,238 |
|
328 |
30-Year U.S. |
|
|
|
|
|
|
|
|
|
Treasury Bond |
Chicago |
December 2009 |
$ 39,076,292 |
|
734,708 |
|
15 |
Euro BOBL |
|
|
|
|
|
|
|
|
|
Future |
Eurex |
December 2009 |
$ 2,522,614 |
|
13,750 |
|
Total |
|
|
|
|
|
|
$ 1,073,696 |
Financial futures contracts sold as of September 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
Expiration |
|
Face |
Unrealized |
|
Contracts |
Issue |
Exchange |
Date |
|
Value |
Depreciation |
|
44 |
2-Year U.S. |
|
|
|
|
|
|
|
|
|
Treasury Bond |
Chicago |
December 2009 |
$ 9,496,485 |
$ (50,140) |
Interest rate swaps outstanding as of September 30, 2009 were as follows: |
|
|
|
|
|
|
|
|
|
|
Notional |
Unrealized |
|
Fixed |
Floating |
|
|
|
Amount |
Appreciation |
|
Rate |
Rate |
Counterparty |
Expiration |
|
|
(000) |
(Depreciation) |
|
3.95% (a) |
3-month Australian |
|
|
|
|
|
|
|
|
|
Bank Bill Short-Term |
|
|
|
|
|
|
|
|
|
Rate |
Deutsche Bank AG |
May 2011 |
AUD 3,560 |
$ (39,917) |
|
4.02% (a) |
3-month Australian |
|
|
|
|
|
|
|
|
|
Bank Bill Short-Term |
|
|
|
|
|
|
|
|
|
Rate |
Deutsche Bank AG |
May 2011 |
AUD |
10,555 |
|
(112,205) |
|
1.34% (a) |
3-month LIBOR |
Deutsche Bank AG |
May 2011 |
USD |
19,300 |
|
80,286 |
|
1.58% (a) |
3-month LIBOR |
JPMorgan Chase |
|
|
|
|
|
|
|
|
|
Bank NA |
August 2011 |
USD |
11,000 |
|
75,366 |
|
4.63% (b) |
3-month LIBOR |
Deutsche Bank AG |
March 2013 |
USD |
50,000 |
|
(4,229,954) |
6 |
|
|
|
|
|
|
|
BlackRock Enhanced Government Fund, Inc. |
|
|
|
|
Schedule of Investments September 30, 2009 (Unaudited) |
|
|
|
|
|
|
|
|
|
Notional |
Unrealized |
Fixed |
Floating |
|
|
|
Amount |
Appreciation |
Rate |
Rate |
Counterparty |
Expiration |
(000) |
(Depreciation) |
5.71% (b) |
3-month LIBOR |
Deutsche Bank AG |
June 2017 |
USD 25,000 |
(4,332,731) |
5.96% (b) |
3-month LIBOR |
Deutsche Bank AG |
December |
|
|
|
|
|
|
2037 |
USD 25,000 |
(8,808,283) |
Total |
|
|
|
|
|
$ (17,367,438) |
(a) Fund pays floating interest rate and receives fixed rate. |
|
|
(b) Fund pays fixed interest rate and receives floating rate. |
|
|
Portfolio Abbreviations: |
|
|
|
|
|
AUD |
Australian Dollar |
|
|
|
|
|
GO |
General Obligation Bonds |
|
|
|
|
LIBOR |
The London Interbank Offered Rates |
|
|
|
|
USD |
US Dollar |
|
|
|
|
|
Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as |
follows: |
|
|
|
|
|
|
Level 1 - price quotations in active markets/exchanges for identical securities |
|
Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in |
markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not |
active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, |
yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market- |
corroborated inputs) |
|
|
|
|
|
Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent |
observable inputs are not available (including the Fund's own assumptions used in determining the fair value of |
investments) |
|
|
|
|
|
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with |
investing in those securities. For information about the Fund's policy regarding valuation of investments and other |
significant accounting policies, please refer to Fund's most recent financial statements as contained in its semi- |
annual report. |
|
|
|
|
|
|
|
|
|
Investments in |
|
Valuation Inputs |
|
|
Securities |
|
|
|
|
|
Assets |
Liabilities |
|
Level 1 |
|
|
|
|
|
|
Long-Term Investments - Trust Preferreds |
$ 3,648,776 |
- |
|
Short-Term Securities |
|
|
30,513,003 |
- |
|
Total Level 1 |
|
|
34,161,779 |
- |
|
Level 2 |
|
|
|
|
|
|
Long-Term Investments1 |
|
|
318,601,663 |
- |
|
TBA Sale Commitments |
|
|
- $ |
(79,568,319) |
|
Total Level 2 |
|
|
318,601,663 |
(79,568,319) |
|
7 |